Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1552 |
| Annualized Std Dev | 0.2996 |
| Annualized Sharpe (Rf=0%) | 0.5181 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3805.0000 |
| NAs | 1.0000 |
| Minimum | -0.1235 |
| Quartile 1 | -0.0096 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0008 |
| Geometric Mean | 0.0006 |
| Quartile 3 | 0.0116 |
| Maximum | 0.1326 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0002 |
| UCL Mean (0.95) | 0.0014 |
| Variance | 0.0004 |
| Stdev | 0.0189 |
| Skewness | -0.0658 |
| Kurtosis | 2.9473 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0135 |
| Gain Deviation | 0.0126 |
| Loss Deviation | 0.0130 |
| Downside Deviation (MAR=210%) | 0.0179 |
| Downside Deviation (Rf=0%) | 0.0131 |
| Downside Deviation (0%) | 0.0131 |
| Maximum Drawdown | 0.4939 |
| Historical VaR (95%) | -0.0302 |
| Historical ES (95%) | -0.0425 |
| Modified VaR (95%) | -0.0295 |
| Modified ES (95%) | -0.0451 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2015-07-20 | 2016-02-11 | 2018-01-22 | -0.4939 | 633 | 144 | 489 |
| 2008-08-15 | 2009-03-05 | 2011-04-14 | -0.3760 | 672 | 139 | 533 |
| 2018-06-21 | 2018-12-24 | 2020-05-11 | -0.3532 | 475 | 129 | 346 |
| 2014-02-28 | 2014-05-08 | 2014-10-28 | -0.2922 | 169 | 49 | 120 |
| 2011-07-25 | 2011-08-08 | 2012-01-27 | -0.2672 | 130 | 11 | 119 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | 1.3 | 0.1 | -1 | 1.2 | 3.5 | -2.2 | 0.5 | 0.8 | -1.3 | -0.5 | -0.1 | 2 |
| 2007 | 0.6 | -1.6 | 1 | 0.8 | 0.7 | -1.2 | -0.7 | 1.6 | 1.2 | -1 | -0.1 | -1.3 | 0 |
| 2008 | 2.7 | -1.9 | 3.6 | 2.8 | -0.2 | 2 | -1.9 | -1.2 | 0.8 | 2.6 | -8 | 1.6 | 2.2 |
| 2009 | -0.1 | -5.3 | -1.8 | -0.6 | 0.4 | -1.3 | -0.7 | -1.5 | -3.5 | -2 | 1.7 | -1.1 | -14.8 |
| 2010 | 1.1 | 5.3 | 0.8 | -0.8 | -1.3 | -2.3 | 1.3 | 2.6 | -0.1 | -0.8 | 1.3 | -0.8 | 6.2 |
| 2011 | 0.5 | -0.6 | 0.7 | -1.3 | -2.5 | 1.2 | -1.3 | -2.1 | -1.6 | -3.5 | 0.6 | 0.3 | -9.5 |
| 2012 | 3 | 1 | 0.4 | -0.2 | -2.7 | 2.6 | -2.9 | 0.3 | 0.3 | 1.8 | -0.6 | 1.8 | 4.7 |
| 2013 | 1 | 1.1 | -1.4 | -2.5 | -1.7 | 4.3 | 1.5 | -1.2 | 2.1 | 0.5 | 0.9 | 0 | 4.5 |
| 2014 | -2.3 | -4.1 | 2.1 | 1.3 | -1.1 | 1.7 | -0.8 | 1.3 | -1.3 | -1.1 | -2.8 | 0.5 | -6.6 |
| 2015 | -1.2 | -1.5 | -2.1 | 3.3 | 0.4 | -1.2 | 1.2 | -3 | 0.3 | -1 | -0.2 | -0.9 | -5.9 |
| 2016 | 0.8 | 4.8 | 2.9 | -2.2 | 0.2 | 3.2 | 2.4 | 0.4 | 1.2 | 1.2 | -2.4 | -0.8 | 12.1 |
| 2017 | 0.1 | 1.8 | 0.1 | 1 | 2.8 | -1.3 | -1.4 | 0.9 | 0.8 | -1.4 | 0.3 | -1.5 | 2 |
| 2018 | 0.3 | -0.9 | 0.8 | 1.1 | 2.1 | 1.1 | 0.1 | 0.2 | -1.3 | 5.9 | 1.5 | 2.4 | 13.7 |
| 2019 | 0.5 | 3 | -0.1 | -1.8 | -1.7 | 0.6 | 0.3 | -0.9 | -2.1 | 2.5 | 0.2 | 0.4 | 0.6 |
| 2020 | -1.4 | 1.8 | -5.4 | -2.7 | 0.5 | 0.5 | -2.3 | -2 | 1.3 | -2.1 | -0.2 | -2.3 | -13.7 |
| 2021 | 4.4 | 2.4 | 3.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 10.4 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
